• The Korean Journal of Applied Statistics
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• v.23 no.4
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• pp.651-668
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• 2010

Various estimators of two risk measures of a specific financial portfolio, Value-at-Risk and Expected Shortfall, are compared for each case of 1-day and 10-day horizons. We use the Korea Composite Stock Price Index data of 20-year period including the year 2008 of the global financial crisis. Indexes of five foreign stock markets are also used for the empirical comparison study. The estimator considering both the heavy tail of loss distribution and the conditional heteroscedasticity of time series is of main concern, while other standard and new estimators are considered too. We investigate which estimator is best for the Korean stock market and which one shows the best overall performance.

• Korean Journal of Remote Sensing
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• v.27 no.6
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• pp.637-651
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• 2011

This study presents a rule-based urban image classification method for time series analysis of changes in the vicinity of Asan-si and Cheonan-si in Chungcheongnam-do, using Landsat satellite images (1991-2006). The area has been highly developed through the relocation of industrial facilities, land development, construction of a high-speed railroad, and an extension of the subway. To determine the yearly changing pattern of the urban area, eleven classes were made depending on the trend of development. An algorithm was generalized for the rules to be applied as an unsupervised classification, without the need of training area. The analysis results show that the urban zone of the research area has increased by about 1.53 times, and each correlation graph confirmed the distribution of the Built Up Index (BUI) values for each class. To evaluate the rule-based classification, coverage and accuracy were assessed. When Optimal allowable factor=0.36, the coverage of the rule was 98.4%, and for the test using ground data from 1991 to 2006, overall accuracy was 99.49%. It was confirmed that the method suggested to determine the maximum allowable factor correlates to the accuracy test results using ground data. Among the multiple images, available data was used as best as possible and classification accuracy could be improved since optimal classification to suit objectives was possible. The rule-based urban image classification method is expected to be applied to time series image analyses such as thematic mapping for urban development, urban development, and monitoring of environmental changes.

• Magazine of the Korean Society of Agricultural Engineers
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• v.40 no.4
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• pp.45-57
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• 1998

This study was conducted to derive optimal design floods by Generalized Extreme Value (GEV) distribution for the annual maximum series at ten watersheds along Han, Nagdong, Geum, Yeongsan and Seomjin river systems. Adequacy for the analysis of flood data used in this study was established by the tests of Independence, Homogeneity, detection of Outliers. L-coefficient of variation, L-skewness and L-kurtosis were calculated by L-moment ratio respectively. Parameters were estimated by the Methods of Moments and L-Moments. Design floods obtained by Methods of Moments and L-Moments using different methods for plotting positions in GEV distribution were compared by the Relative Mean Errors(RME) and Relative Absolute Errors(RAE). The results were analyzed and summarized as follows. 1. Adequacy for the analysis of flood data was acknowledged by the tests of Independence, Homogeneity and detection of Outliers. 2. GEV distribution used in this study was found to be more suitable one than Pearson type 3 distribution by the goodness of fit test using Kolmogorov-Smirnov test and L-Moment ratios diagram in the applied watersheds. 3. Parameters for GEV distribution were estimated using Methods of Moments and L-Moments. 4. Design floods were calculated by Methods of Moments and L-Moments in GEV distribution. 5. It was found that design floods derived by the method of L-Moments using Weibull plotting position formula in GEV distribution are much closer to those of the observed data in comparison with those obtained by method of moments using different formulas for plotting positions from the viewpoint of Relative Mean Errors and Relative Absolute Errors.

• The Journal of Asian Finance, Economics and Business
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• v.2 no.3
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• pp.17-22
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• 2015

This paper examines the effect of impulsiveness of euro on Indian stock market. In order to examine the problem, we select rupee-euro exchange rates and S&P CNX NIFTY and BSE30 SENSEX to represent stock price. We select euro as it considered as second most widely used currency at the international level after dollar. The data are collected a daily basis over a period of 3-Apr-2007 to 30-Mar-2012. The statistical and time series properties of each and every variable have examined using the conventional unit root such as ADF and PP test. Adopting a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) model, the study suggests a negative relationship between exchange rate and stock prices in India. Even though India is a major trade partner of European Union, the study couldn't find any significant statistical effect of fluctuations in Euro-rupee exchange rates on stock prices. The study also reveals that shocks to exchange rate have symmetric effect on stock prices and exchange rate fluctuations have permanent effects on stock price volatility in India.

• Structural Engineering and Mechanics
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• v.51 no.2
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• pp.199-214
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• 2014

The present investigation is concerned with the effect of two temperatures on functionally graded (FG) nanobeams subjected to sinusoidal pulse heating sources. Material properties of the nanobeam are assumed to be graded in the thickness direction according to a novel exponential distribution law in terms of the volume fractions of the metal and ceramic constituents. The upper surface of the FG nanobeam is fully ceramic whereas the lower surface is fully metal. The generalized two-temperature nonlocal theory of thermoelasticity in the context of Lord and Shulman's (LS) model is used to solve this problem. The governing equations are solved in the Laplace transformation domain. The inversion of the Laplace transformation is computed numerically using a method based on Fourier series expansion technique. Some comparisons have been shown to estimate the effects of the nonlocal parameter, the temperature discrepancy and the pulse width of the sinusoidal pulse. Additional results across the thickness of the nanobeam are presented graphically.

• Structural Engineering and Mechanics
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• v.70 no.2
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• pp.179-197
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• 2019

In this article, the effect of different geometrical, materials and load parameters on the transient response of axisymmetric viscoelastic functionally graded annular plates with different boundary conditions are studied. The behavior of the plate is assumed the elastic in bulk and viscoelastic in shear with the standard linear solid model. Also, the graded properties vary through the thickness according to a power law function. Three types of mostly applied transient loading, i.e., step, impulse, and harmonic with different load distribution respect to radius coordinate are examined. The motion equations and the corresponding boundary conditions are extracted by applying the first order shear deformation theory which are three coupled partial differential equations with variable coefficients. The resulting motion equations are solved analytically using the perturbation technique and the generalized Fourier series. The sensitivity of the response to the graded indexes, different transverse loads, aspect ratios, boundary conditions and the material properties are investigated too. The results are compared with the finite element analysis.

• Proceedings of the Korean Society of Agricultural Engineers Conference
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• 1999.10c
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• pp.479-485
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• 1999

This study was conducted to derived design floods by Generalized Extreme Value(GEV) distributiion for the annual maximum series at ten watersheds along Han, Nagdong, Geum , Yeongsan and Seomjin river systems. Adequency for the analysis of flood data used in this study was established by the test of Independence, Homogeneity , detection of Outliers. Coefficient of variation , skewness and kurtosis were calculated by the L-Moment, and LH-Moment ratio respectively. Parameters were estimated by the Method of L-Method of LH-Moment. Design floods obtained by Method of L-Moments and LH-Moments using different methods for plotting positions in GEV distributions and were compared with those obatined using the Method of L-Moments and LH-Moments by the Relative Mean Errors and Realtive Absoulte Errors. It was found that desgin floods derived by the method of L-Moments and LH-Moments using Cunnane plotting position foumula in the GEV distribution are much closer to those of the observed data in comparison with those obtained by methods of L-moments and LH-moments using the other formula for poltting postions from the viewpoint of Relative Mean Errors and Relative Absoulte Errors. In view of the fact that hydraulic structures indcluding dams and levees are generally usiong design floods with the return period of two hundred years or so, design floods derived by LH-Moments are seemed to be more reasonable than those of L-Moments in the GEV distribution.

• Magazine of the Korean Society of Agricultural Engineers
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• v.45 no.1
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• pp.33-44
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• 2003

This study was conducted to estimate the design flood by the determination of best fitting order for LH-moments of the annual maximum series at fifteen watersheds. Using the LH-moment ratios and Kolmogorov-Smirnov test, the optimal regional probability distribution was identified to be the Generalized Extreme Value (GEV) in the first report of this project. Parameters of GEV distribution and flood flows of return period n years were derived by the methods of L, L1, L2, L3 and L4-moments. Frequency analysis of flood flow data generated by Monte Carlo simulation was performed by the methods of L, L1, L2, L3 and L4-moments using GEV distribution. Relative Root Mean Square Error. (RRMSE), Relative Bias (RBIAS) and Relative Efficiency (RE.) using methods of L, Ll , L2, L3 and L4-moments for GEV distribution were computed and compared with those resulting from Monte Carlo simulation. At almost all of the watersheds, the more the order of LH-moments and the return periods increased, the more RE became, while the less RRMSE and RBIAS became. The Absolute Relative Reduction (ARR) for the design flood was computed. The more the order of LH-moments increased, the less ARR of all applied watershed became It was confirmed that confidence efficiency of estimated design flood was increased as the order of LH-moments increased. Consequently, design floods for the appled watersheds were derived by the methods of L3 and L4-moments among LH-moments in view of high confidence efficiency.

• Journal of Korean Society of Disaster and Security
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• v.13 no.4
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• pp.25-36
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• 2020

An increasing frequency and intensity of natural disasters have been observed due to climate change. To better prepare for these, the MOIS (ministry of the interior and safety) announced a comprehensive plan for minimizing damages associated with natural disasters, including drought and heavy snowfall. The spatial-temporal pattern of snowfall is greatly influenced by temperature and geographical features. Heavy snowfalls are often observed in Gangwon-do, surrounded by mountains, whereas less snowfall is dominant in the southern part of the country due to relatively high temperatures. Thus, snow depth data often contains zeros that can lead to difficulties in the selection of probability distribution and estimation of the parameters. A generalized mixture distribution approach to a maximum snow depth series over the southern part of Korea (i.e., Changwon, Tongyeoung, Jinju weather stations) are located is proposed to better estimate a threshold (𝛿) classifying discrete and continuous distribution parts. The model parameters, including the threshold in the mixture model, are effectively estimated within a Bayesian modeling framework, and the uncertainty associated with the parameters is also provided. Comparing to the Daegwallyeong weather station, It was found that the proposed model is more effective for the regions in which less snow depth is observed.

• Journal of Korea Water Resources Association
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• v.42 no.10
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• pp.773-783
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• 2009

The effects of rainfall input uncertainty on predictions of stream flow are studied based extended GLUE (Generalized Likelihood Uncertainty Estimation) approach. The uncertainty in the rainfall data is implemented by systematic/non-systematic rainfall measurement analysis in Weida catchment, Germany. PDM (Probability Distribution Model) rainfall runoff model is selected for hydrological representation of the catchment. Using general correction procedure and DUE(Data Uncertainty Engine), feasible rainfall time series are generated. These series are applied to PDM in MC(Monte Carlo) and GLUE method; Posterior distributions of the model parameters are examined and behavioural model parameters are selected for simplified GLUE prediction of stream flow. All predictions are combined to develop ensemble prediction and 90 percentile of ensemble prediction, which are used to show the effects of uncertainty sources of input data and model parameters. The results show acceptable performances in all flow regime, except underestimation of the peak flows. These results are not definite proof of the effects of rainfall uncertainty on parameter estimation; however, extended GLUE approach in this study is a potential method which can include major uncertainty in the rainfall-runoff modelling.